... Licensed re-use rights only Realized volatility Model bias Volatility forecasting Equity markets C22 C52 C55 Chao Liang is the corresponding author and can be contacted at: liangchaoswjt@163.com The remainder of the paper is organized as follows. Section 2 provides...

... simulation Stochastic differential equations C22 C52 The notion of a deterministic differential equation perturbed by random disturbances that are not necessarily small has been used profitably in a variety of disciplines including inter alia engineering, environmetrics, physics...

... is the average ratio of the stock price to the sum of the stock price and the dividend, and κ is a nonlinear function of ρ. © Emerald Group Publishing Limited 2016 Bounce-back effect Markov-Switching model Stock market returns Volatility feedback C22 G10 Recently...